Backtest Report - mean_reversion_20260112

Run ID: mean_reversion_20260112_034934
Symbol: MCL_FUT
Strategy: MeanReversionStrategy (MeanReversionStrategy)
Date Range: 2025-07-13 to 2026-01-08

Strategy Parameters

ema_period

ema_deviation_threshold

0.3%

rsi_period

rsi_levels

35.0/65.0

volume_spike_threshold

2.0x

targets_cents

5.0/10.0/15.0

target_pcts

50.0/30.0/20.0

stop_loss_cents

11.0

breakeven_trigger

4.0

trail_offset

3.0

max_hold_bars

session_hours

14-20 UTC

require_confirmation

False

volatility_filter

20.0-80.0%

require_conditions

Key Metrics

Total Return

$-7,613.18 (-152.26%)

Sharpe Ratio

-0.29

Max Drawdown

152.23%

Win Rate

52.4%

Profit Factor

0.47

Total Trades

1807

Avg Winner

$4.85

Avg Loser

$-11.29

Equity Curve & Drawdown

Trade P&L Distribution

Monthly Returns

Time Analysis

Recommendations

Risk/reward ratio is poor (0.43:1). Consider widening profit targets or tightening stops.
Max drawdown is high (152.2%). Consider reducing position size or adding additional filters.
Significant losses at 14:00 ($-1266.54). Consider adding time filter to avoid trading during this hour.
Performance degrades on Fridays ($-1178.68). Consider reducing position size or skipping trades on this day.
Max losing streak of 7 trades. Consider implementing a cool-down period after consecutive losses.
Low Sharpe ratio (-0.29) indicates poor risk-adjusted returns. Consider adding volatility-based position sizing.
Low time in market (2.8%). Strategy may be too conservative. Consider relaxing entry criteria.